Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006…

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance)

directive · European Union · 32006L0048

2275 provisions in 6946 nodes · cited by 51 instruments we hold · 81 provisions hand work to national law

Defined terms · All instruments · EC Directive · EU law · European Central Bank · accounting · administrative structures · advertising · auditing · banking supervision

TITLE I SUBJECT MATTER, SCOPE AND DEFINITIONS

TITLE II REQUIREMENTS FOR ACCESS TO THE TAKING UP AND PURSUIT OF THE BUSINESS OF CREDIT INSTITUTIONS

TITLE III PROVISIONS CONCERNING THE FREEDOM OF ESTABLISHMENT AND THE FREEDOM TO PROVIDE SERVICES

Section 1 Credit institutions

Article 23

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Section 2 Financial institutions

Section 3 Exercise of the right of establishment

Section 4 Exercise of the freedom to provide services

Article 28

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Section 5 Powers of the competent authorities of the host Member State

TITLE IV RELATIONS WITH THIRD COUNTRIES

Section 1 Notification in relation to third countries' undertakings and conditions of access to the markets of these countries

Article 38

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Section 2 Cooperation with third countries' competent authorities regarding supervision on a consolidated basis

TITLE V PRINCIPLES AND TECHNICAL INSTRUMENTS FOR PRUDENTIAL SUPERVISION AND DISCLOSURE

CHAPTER 1 Principles of prudential supervision

Section 1 Competence of home and host Member State

Section 2 Exchange of information and professional secrecy

Section 3 Duty of persons responsible for the legal control of annual and consolidated accounts

Section 4 Power of sanction and right to apply to the courts

CHAPTER 2 Technical instruments of prudential supervision

Section 2 Provision against risks

Subsection 1 Level of application

Subsection 2 Calculation of requirements

Article 74

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Subsection 3 Minimum level of own funds

Section 3 Minimum own funds requirements for credit risk

Subsection 1 Standardised approach

Subsection 2 Internal Ratings Based Approach

Subsection 3 Credit risk mitigation

Subsection 4 Securitisation

Section 4 Minimum own funds requirements for operational risk

Section 5 Large exposures

Section 6 Qualifying holdings outside the financial sector

CHAPTER 3 Credit institutions' assessment process

Article 123

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CHAPTER 4 Supervision and disclosure by competent authorities

Section 1 Supervision

Section 2 Disclosure by competent authorities

CHAPTER 5 Disclosure by credit institutions

TITLE VI POWERS OF EXECUTION

TITLE VII TRANSITIONAL AND FINAL PROVISIONS

CHAPTER 1 Transitional provisions

CHAPTER 2 Final provisions

ANNEX I LIST OF ACTIVITIES SUBJECT TO MUTUAL RECOGNITION

ANNEX II CLASSIFICATION OF OFF‐BALANCE‐SHEET ITEMS

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ANNEX III THE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES ORCOMMODITIES LENDING OR BORROWING TRANSACTIONS, LONG SETTLEMENT TRANSACTIONS AND MARGIN LENDING TRANSACTIONS

Netting sets, hedging sets, and related terms

Exposure measures and adjustments

Mark-to-Market Method

Original Exposure Method

Internal Model Method

Integrity of the modelling process

Validation requirements for EPE models

Contractual netting (contracts for novation and other netting agreements)

ANNEX IV TYPES OF DERIVATIVES

ANNEX V TECHNICAL CRITERIA CONCERNING THE ORGANISATION AND TREATMENT OF RISKS

1. GOVERNANCE

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2. TREATMENT OF RISKS

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3. CREDIT AND COUNTERPARTY RISK

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4. RESIDUAL RISK

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5. CONCENTRATION RISK

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6. SECURITISATION RISK

8. INTEREST RATE RISK ARISING FROM NON-TRADING ACTIVITIES

ANNEX VI STANDARDISED APPROACH

PART 1 RISK WEIGHTS

1. EXPOSURES TO CENTRAL GOVERNMENTS OR CENTRAL BANKS

1.2. Exposures in the national currency of the borrower

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1.3. Use of credit assessments by Export Credit Agencies

2. EXPOSURES TO REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES

3. EXPOSURES TO ADMINISTRATIVE BODIES AND NON-COMMERCIAL UNDERTAKINGS

3.1. Treatment

12.

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3.2. Public Sector Entities

4. EXPOSURES TO MULTILATERAL DEVELOPMENT BANKS

5. EXPOSURES TO INTERNATIONAL ORGANISATIONS

6. EXPOSURES TO INSTITUTIONS

6.2. Risk-weight floor on exposures to unrated institutions

25.

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6.3. Central government risk weight based method

6.4. Credit assessment based method

6.5. Interaction with short-term credit assessments

6.6. Short-term exposures in the national currency of the borrower

6.7 Investments in regulatory capital instruments

39.

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6.8 Minimum reserves required by the ECB

7. EXPOSURES TO CORPORATES

9. EXPOSURES SECURED BY REAL ESTATE PROPERTY

44.

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9.1. Exposures secured by mortgages on residential property

9.2. Exposures secured by mortgages on commercial real estate

11. ITEMS BELONGING TO REGULATORY HIGH-RISK CATEGORIES

12. EXPOSURES IN THE FORM OF COVERED BONDS

13. ITEMS REPRESENTING SECURITISATION POSITIONS

72.

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14. SHORT-TERM EXPOSURES TO INSTITUTIONS AND CORPORATES

15. EXPOSURES IN THE FORM OF COLLECTIVE INVESTMENT UNDERTAKINGS (CIUS)

PART 2 Recognition of ECAIs and mapping of their credit assessments

1.4. Transparency and disclosure

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2. INDIVIDUAL CREDIT ASSESSMENTS

2.1. Credibility and market acceptance

2.2. Transparency and Disclosure

PART 3 Use of ECAIs' credit assessments for the determination of risk weights

1. TREATMENT

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2. ISSUER AND ISSUE CREDIT ASSESSMENT

3. LONG-TERM AND SHORT-TERM CREDIT ASSESSMENTS

4. DOMESTIC AND FOREIGN CURRENCY ITEMS

ANNEX VII INTERNAL RATINGS BASED APPROACH

PART 1 Risk weighted exposure amounts and expected loss amounts

1. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK

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1.1. Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks.

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Table

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1.2. Risk weighted exposure amounts for retail exposures

1.3. Risk weighted exposure amounts for equity exposures

1.3.1. Simple risk weight approach

1.3.2. PD/LGD approach

1.3.3. Internal models approach

1.4. Risk weighted exposure amounts for other non credit-obligation assets

27.

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2. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR DILUTION RISK OF PURCHASED RECEIVABLES

28.

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3. CALCULATION OF EXPECTED LOSS AMOUNTS

4. TREATMENT OF EXPECTED LOSS AMOUNTS

36.

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PART 2 PD, LGD and Maturity

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1. EXPOSURES TO CORPORATES, INSTITUTIONS AND CENTRAL GOVERNMENTS AND CENTRAL BANKS

3. EQUITY EXPOSURES SUBJECT TO PD/LGD METHOD

PART 3 Exposure value

1. EXPOSURES TO CORPORATES, INSTITUTIONS, CENTRAL GOVERNMENTS AND CENTRAL BANKS AND RETAIL EXPOSURES.

3. OTHER NON CREDIT-OBLIGATION ASSETS

13.

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PART 4 Minimum requirements for IRB Approach

1. RATING SYSTEMS

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1.1. Structure of rating systems

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1.1.1. Exposures to corporates, institutions and central governments and central banks

1.1.2. Retail exposures

1.2. Assignment to grades or pools

1.3. Assignment of exposures

1.3.1. Exposures to corporates, institutions and central governments and central banks

1.3.2. Retail exposures

1.4. Integrity of assignment process

1.4.1. Exposures to corporates, institutions and central governments and central banks

1.4.2. Retail exposures

1.6. Documentation of rating systems

1.7. Data maintenance

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1.7.1. Exposures to corporates, institutions and central governments and central banks

1.7.2. Retail exposures

1.8. Stress tests used in assessment of capital adequacy

2. RISK QUANTIFICATION

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2.1. Definition of default

2.2. Overall requirements for estimation

2.2.1. Requirements specific to PD estimation

Exposures to corporates, institutions and central governments and central banks

2.2.2. Requirements specific to own-LGD estimates

Exposures to corporates, institutions and central governments and central banks

2.2.3. Requirements specific to own-conversion factor estimates

Exposures to corporates, institutions and central governments and central banks

2.2.4. Minimum requirements for assessing the effect of guarantees and credit derivatives

Eligible guarantors and guarantees

2.2.5. Minimum requirements for purchased receivables

Legal certainty

105.

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Effectiveness of monitoring systems

Effectiveness of work-out systems

107.

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Effectiveness of systems for controlling collateral, credit availability, and cash

108.

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Compliance with the credit institution's internal policies and procedures

109.

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3. VALIDATION OF INTERNAL ESTIMATES

4. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR EQUITY EXPOSURES UNDER THE INTERNAL MODELS APPROACH

4.1. Capital requirement and risk quantification

4.2. Risk management process and controls

4.3. Validation and documentation

5. CORPORATE GOVERNANCE AND OVERSIGHT

5.1. Corporate Governance

5.2. Credit risk control

ANNEX VIII CREDIT RISK MITIGATION

PART 1 Eligibility

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1. FUNDED CREDIT PROTECTION

1.1. On-balance sheet netting

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1.2. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions

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1.3. Collateral

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1.3.1. Eligibility under all approaches and methods

1.3.2. Additional eligibility under the Financial Collateral Comprehensive Method

1.3.3. Additional eligibility for calculations under Articles 84 to 89

12.

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(a) Real estate collateral

1.4. Other funded credit protection

1.4.1. Cash on deposit with, or cash assimilated instruments held by, a third party institution.

23.

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1.4.2. Life insurance policies pledged to the lending credit institution

24.

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1.4.3. Institution instruments repurchased on request

25.

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2. UNFUNDED CREDIT PROTECTION

2.1. Eligibility of protection providers under all approaches

2.2 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Annex VII, Part 1, point 4.

29.

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3. TYPES OF CREDIT DERIVATIVES

PART 2 Minimum Requirements

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1. FUNDED CREDIT PROTECTION

1.1. On-balance sheet netting agreements (other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions).

1.2. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions

1.3. Financial collateral

1.3.1. Minimum requirements for the recognition of financial collateral under all Approaches and Methods

1.3.2. Additional minimum requirements for the recognition of financial collateral under the Financial Collateral Simple Method

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1.4. Minimum requirements for the recognition of real estate collateral

1.5. Minimum requirements for the recognition of receivables as collateral

1.6. Minimum requirements for the recognition of other physical collateral

1.7. Minimum requirements for treating lease exposures as collateralised

1.8. Minimum requirements for the recognition of other funded credit protection

1.8.1. Cash on deposit with, or cash assimilated instruments held by, a third party institution

1.8.2. Life insurance policies pledged to the lending credit institution.

2. UNFUNDED CREDIT PROTECTION AND CREDIT LINKED NOTES

2.1. Requirements common to guarantees and credit derivatives

2.1.1. Operational requirements

15.

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2.2. Sovereign and other public sector counter‐guarantees

2.3. Additional requirements for guarantees

2.4. Additional requirements for credit derivatives

2.5. Requirements to qualify for the treatment set out in Annex VII, Part 1, point 4

PART 3 Calculating the effects of credit risk mitigation

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1. FUNDED CREDIT PROTECTION

1.1. Credit linked notes

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1.2. On-balance sheet netting

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1.3. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions

1.3.1. Calculation of the fully-adjusted exposure value

(a) Using the ‘Supervisory’ volatility adjustments or the ‘Own Estimates’ volatility adjustments approaches

(b) Using the Internal Models approach

1.3.2. Calculating risk‐weighted exposure amounts and expected loss amounts for repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions covered by master netting agreements

1.4. Financial collateral

1.4.1. Financial Collateral Simple Method

1.4.2. Financial Collateral Comprehensive Method

(a) Calculating adjusted values

33.

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(b) Calculation of volatility adjustments to be applied

(i) Supervisory volatility adjustments

36.

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VOLATILITY ADJUSTMENTS

(ii) Own estimates of volatility adjustments

(iii) Scaling up of volatility adjustments

57.

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(iv) Conditions for applying a 0 % volatility adjustment

1.5. Other eligible collateral for Articles 84 to 89

1.5.1. Valuation

(a) Real estate collateral

1.5.2. Calculating risk‐weighted exposure amounts and expected loss amounts

(a) General treatment

(b) Alternative treatment for real estate collateral

1.6. Calculating risk‐weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

1.7. Other funded credit protection

1.7.1. Deposits with third party institutions

79.

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1.7.2. Life insurance policies pledged to the lending credit institution

80.

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1.7.3. Institution instruments repurchased on request

2. UNFUNDED CREDIT PROTECTION

2.2. Calculating risk‐weighted exposure amounts and expected loss amounts

2.2.1. Partial protection — tranching

86.

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2.2.2. Standardised Approach

(a) Full protection

87.

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(b) Partial protection — equal seniority

PART 4 Maturity Mismatches

1. DEFINITION OF MATURITY

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2. VALUATION OF PROTECTION

2.1. Transactions subject to funded credit protection — Financial Collateral Simple Method

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2.2. Transactions subject to funded credit protection — Financial Collateral Comprehensive Method

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2.3. Transactions subject to unfunded credit protection

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PART 5 Combinations of credit risk mitigation in the Standardised Approach

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PART 6 Basket CRM techniques

1. FIRST-TO-DEFAULT CREDIT DERIVATIVES

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2. N NTH-TO-DEFAULT CREDIT DERIVATIVES

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ANNEX IX SECURITISATION

PART 1 Definitions for the purposes of Annex IX

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PART 2 Minimum requirements for recognition of significant credit risk transfer and calculation of risk‐weighted exposure amounts and expected loss amounts for securitised exposures

1. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A TRADITIONAL SECURITISATION

2. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A SYNTHETIC SECURITISATION

3. ORIGINATOR CREDIT INSTITUTIONS' CALCULATION OF RISK‐WEIGHTED EXPOSURE AMOUNTS FOR EXPOSURES SECURITISED IN A SYNTHETIC SECURITISATION

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3.1. Treatment of maturity mismatches in synthetic securitisations

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PART 3 External credit assessments

1. REQUIREMENTS TO BE MET BY THE CREDIT ASSESSMENTS OF ECAIS

2. USE OF CREDIT ASSESSMENTS

1. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS

2. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH

2.1. Originator and sponsor credit institutions

Division

2.2. Treatment of unrated positions

Division

10.

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2.3. Treatment of securitisation positions in a second loss tranche or better in an ABCP programme

2.4. Treatment of unrated liquidity facilities

2.4.1. Eligible liquidity facilities

2.4.2. Liquidity facilities that may be drawn only in the event of a general market disruption

14.

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2.4.3. Cash advance facilities

15.

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2.5. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions

2.5.1. Exemptions from early amortisation treatment

2.5.2. Maximum capital requirement

2.5.3. Calculation of risk-weighted exposure amounts

2.6. Recognition of credit risk mitigation on securitisation positions

34.

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2.7. Reduction in risk-weighted exposure amounts

3. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH

3.1. Hierarchy of methods

3.1.1. Use of inferred ratings

3.1.2. The ‘Internal Assessment Approach’ for positions in ABCP programmes

3.2. Maximum risk-weighted exposure amounts

45.

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3.3. Ratings Based Method

3.4. Supervisory Formula Method

3.5. Liquidity Facilities

55.

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3.5.1. Liquidity Facilities Only Available in the Event of General Market Disruption

56.

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3.5.2. Cash advance facilities

57.

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3.5.3. Exceptional treatment where K_(irb) cannot be calculated.

3.6. Recognition of credit risk mitigation in respect of securitisation positions

3.6.1. Funded credit protection

60.

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3.6.2. Unfunded credit protection

61.

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3.6.3. Calculation of capital requirements for securitisation positions with credit risk mitigation

Ratings Based Method

62.

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Supervisory Formula Method — full credit protection

Supervisory formula method — partial protection

3.7. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions

3.8. Reduction in risk-weighted exposure amounts

ANNEX X OPERATIONAL RISK

PART 1 Basic Indicator Approach

1. CAPITAL REQUIREMENT

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2. RELEVANT INDICATOR

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2.1. Credit institutions subject to Directive 86/635/EEC

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Table

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2.1.1. Qualifications

2.2. Credit institutions subject to a different accounting framework

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PART 2 Standardised Approach

1. CAPITAL REQUIREMENT

Division

Table

Division

2. PRINCIPLES FOR BUSINESS LINE MAPPING

3. ALTERNATIVE INDICATORS FOR CERTAIN BUSINESS LINES

3.2.1. General condition

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3.2.2. Conditions specific to retail banking and commercial banking

4. QUALIFYING CRITERIA

PART 3 Advanced Measurement Approaches

1. QUALIFYING CRITERIA

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1.1. Qualitative Standards

1.2. Quantitative Standards

1.2.4. Scenario analysis

20.

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1.2.5. Business environment and internal control factors

2. IMPACT OF INSURANCE AND OTHER RISK TRANSFER MECHANISMS

3. APPLICATION TO USE AN ADVANCED MEASUREMENT APPROACH ON A GROUP-WIDE BASIS

PART 4 Combined use of different methodologies

1. USE OF AN ADVANCED MEASUREMENT APPROACH IN COMBINATION WITH OTHER APPROACHES

2. COMBINED USE OF THE BASIC INDICATOR APPROACH AND OF THE STANDARDISED APPROACH

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PART 5 Loss event type classification

Table

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ANNEX XI

TECHNICAL CRITERIA ON REVIEW AND EVALUATION BY THE COMPETENT AUTHORITIES

ANNEX XII TECHNICAL CRITERIA ON DISCLOSURE

PART 1 General criteria

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PART 2 General requirements

PART 3 Qualifying requirements for the use of particular instruments or methodologies

PART A Repealed Directives Together With Their Successive Amendments (referred To In Article 158)

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PART B deadlines for transposition (referred to in Article 158)

Table

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ANΝΕΧ XIV CORRELATION TABLE

Table

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